コード例 #1
0
ファイル: hmm.py プロジェクト: idelbrid/MachineLearning
    def fit(self, X):
        self.X = X
        matX = np.asmatrix(self.X)
        self.T = X.shape[0]
        self.ndim = X.shape[1]

        # initialization schemes
        if self.init_method == 'random':
            self.A = np.zeros((self.num_gaussians, self.num_gaussians))
            self.A += 1.0 / self.num_gaussians
            self.A += np.random.rand(self.num_gaussians, self.num_gaussians) * 0.1
            self.A /= self.A.sum(axis=0)

            self.pi = np.zeros(self.num_gaussians)
            self.pi += 1.0
            self.pi += np.random.rand(self.num_gaussians) * 0.01
            self.pi /= self.pi.sum()

            self.mu = X[np.random.choice(range(0, len(X)), self.num_gaussians), :]  # sample from the data
            self.sigma = list()
            self.B = np.zeros((self.T, self.num_gaussians))
            for k in range(self.num_gaussians):
                    self.sigma.append(np.identity(self.ndim, dtype=np.float64))
                    self.sigma[k] += np.random.rand(self.ndim, self.ndim)  # purely synthetic
                    self.sigma[k] = np.dot(self.sigma[k], self.sigma[k].T)  # making it positive semi-definite
                    self.sigma[k] /= self.sigma[k].sum()
                    self.B[:, k] = normal(self.mu[k], self.sigma[k]).pdf(X)

        ######## BEGIN ACTUAL ALGORITHM ###################
        gamma = np.zeros((self.T, self.num_gaussians))  # gamma(n, i) = p(z_n=i | X, theta)
        ksi = np.zeros((self.num_gaussians, self.num_gaussians, self.T))  # ksi[i, j, t] = p(z_n = i, z_n-1 = j | X, theta)
        for iter in range(self.max_iter):

            # E step
            alpha, beta, c = self.forward_backward()  # c is scaling factors
            ect = np.zeros((self.num_gaussians, self.num_gaussians))

            for i in range(self.num_gaussians):
                gamma[0, i] = alpha[0, i] * beta[0, i]
            for t in range(1, self.T):  # skip 0 - covered by pi
                for i in range(self.num_gaussians):
                    gamma[t, i] = alpha[t, i] * beta[t, i]
                    for j in range(self.num_gaussians):
                        ksi[j, i, t] = alpha[t-1, j] * beta[t, i] * self.A[j, i] * self.B[t, i] / c[t]
                        ect[j, i] += ksi[j, i, t]  # expected count of zn =j and zn-1 =i is sum over t of p(z_{n-1}=j, z_n=i)

            # M step
            self.A = ect / ect.sum(axis=1)  # appears to be right axis... sum over the posterior, i.e. axis 1 (rows)
            self.pi = gamma[0, :] / gamma[0, :].sum()  # Checks out with maths
            for k in range(self.num_gaussians):
                norm = gamma[:, k].sum()
                self.mu[k] = np.dot(gamma[:, k], X) / norm  # looks right
                intermed = np.multiply(gamma[:, k], (matX - self.mu[k]).T).T
                self.sigma[k] = np.dot(intermed.T, (matX - self.mu[k])) / norm  # since taken from GAUSS MIX, correct
                self.B[:, k] = normal(self.mu[k], self.sigma[k]).pdf(X)  # recalculating the table of densities
コード例 #2
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 def _pdf(self,x,mu,left_sigma,right_sigma):
         try:
                 mu=list(mu)[0]
                 left_sigma=list(left_sigma)[0]
                 right_sigma=list(right_sigma)[0]
         except:
                 pass
         
         left=normal(loc=mu,scale=left_sigma)
         right=normal(loc=mu,scale=right_sigma)
         return(np.piecewise(x,[x<mu,x>=mu],
                             [lambda y : left.pdf(y)/np.max(left.pdf(y)),
                              lambda y : right.pdf(y)/np.max(right.pdf(y))]))
コード例 #3
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 def tune(self):
     cov = np.array([[1, 0, -0.5, 0, 0, 0.5],
                     [0, 1, 0, -0.5, 0, 0.5],
                     [-0.5, 0, 1, 0, 0, 0],
                     [0, -0.5, 0, 1, 0.1, 0],
                     [0, 0, 0, 0, 1, 0],
                     [0.5, 0.5, 0, 0, 0, 1]])
     for i in range(1, 11):
         s, accept_rat = mh(self.stationary,
                            lambda xp, xn: normal(xp, cov*i).pdf(xn),
                            lambda x: normal(x, cov*i).rvs(),
                            1000,
                            [0, 0, 0, 0, 4, 5])
         print("Cov x " + str(i) + " accept_rat " + str(accept_rat))
コード例 #4
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 def proposal_distribution(self, xprev, xnext):
     '''
     returns probability of transtition from
     previous sample (xprev) to next smaple (xnext)
     '''
     bs = normal(xprev, self.proposal_cov).pdf(xnext)
     return bs
コード例 #5
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def main():
    set_printoptions(precision=3)
    X = [
        array([12.7, 6.6, 14.7, 12.2, 4.4, 7.8, 13.8, 13.7, 11.1, 9.1, 14.0]),
        array([17.1, 11.9, 12.7, 16.8, 15.0, 14.6, 13.7, 16.4]),
        array([
            5.2, 4.5, 10.5, 15.0, 5.0, 14.9, 7.6, 8.3, 10.8, 14.6, 15.1, 7.0,
            9.3
        ]),
        array([
            14.3, 16.2, 10.0, 13.1, 16.9, 11.2, 10.1, 18.3, 13.5, 15.0, 15.1,
            14.8, 15.7, 13.2, 12.2, 13.2
        ]),
        array([10.5, 7.5, 4.7, 12.5, 13.1, 13.5, 12.2, 16.1, 9.0, 17.9])
    ]
    sigma2 = 4.
    n = 8.
    # Get the posteriors
    beta_post, tau2_post = get_beta_tau2_posterior_samples_MCMC(X, sigma2, n)
    # Calculate CDF
    x2_mean = mean(X[1])
    x3_mean = mean(X[2])
    m2 = (sigma2 * beta_post / n + tau2_post * x2_mean) / (sigma2 / n +
                                                           tau2_post)
    m3 = (sigma2 * beta_post / n + tau2_post * x3_mean) / (sigma2 / n +
                                                           tau2_post)
    v2 = (sigma2 * tau2_post / n) / (sigma2 / n + tau2_post)
    rv = normal()
    for b in [0, 1, 3, 5]:
        Ps = rv.cdf((m2 - m3 - b) / sqrt(sigma2 * 2 + v2 * 2))
        print "For b = %d, P = %.3f" % (b, mean(Ps))
コード例 #6
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 def proposal_sampler_kth(self, x):
     '''
     returns new sample based on previou sample x
     '''
     bs = normal(x, self.proposal_cov_kth).rvs()
     bs[4] = abs(bs[4])
     return bs
コード例 #7
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ファイル: blr_0break.py プロジェクト: copr/diplomka
 def proposal_distribution(self, xprev, xnext):
     '''
     returns probability of transtition from
     previous sample (xprev) to next smaple (xnext)
     '''
     cov = [[1, 0, 0], [0, 1, 0], [0, 0, 0.5]]
     return normal(xprev, cov).pdf(xnext)
コード例 #8
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 def rvs(self, nums):
     ans = np.empty((nums, self.dim))
     #print(ans)
     for num in range(nums):
         for t in range(self.dim):
             temp_model = normal(0, self.sigma_2 / self.T[0, t])
             ans[num, t] = temp_model.rvs(1)[0]
     return (ans)
コード例 #9
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ファイル: mcmcFactory.py プロジェクト: copr/diplomka
 def get_mcmc(self, k):
     if k in self.dimension2mcmc.keys():
         return self.dimension2mcmc[k]
     blr = self.stat_factory.get_stationary(k)
     prop = ProposalDistribution2(normal(np.zeros(blr.n), 5*np.eye(blr.n)))
     mcmc = Mcmc(prop, blr)
     self.dimension2mcmc[k] = mcmc
     return mcmc
コード例 #10
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ファイル: blr2.py プロジェクト: copr/diplomka
 def __init__(self, xs, ys, n_breaks):
     '''
     @param xs - xove souradnice dat
     @param ys - yove souradnice dat
     @param n_breaks - pocet zlomu
     '''
     if len(xs) is not len(ys):
         raise RuntimeError("Not matchin dimension")
     self.xs = xs
     self.ys = ys
     self.max_x = max(xs)
     self.min_x = min(xs)
     self.n = 2 * n_breaks + 5
     self.n_samples = len(xs)
     self.h_prior = normal(np.zeros(int((self.n - 1) / 2)),
                           100 * np.eye(int((self.n - 1) / 2)))
     self.sigma_prior = normal(0, 3)
     self.n_breaks = n_breaks
    def __init__(self, d, noise = 0, w = None):
        DataSet.__init__(self, d, noise = noise)
        self.dist = normal(loc = 0.0, scale = 1.0/sqrt(d))
        
        if w is None:
            self.w = self.dist.rvs(size = self.d)
	    #print self.w
        else:
            self.w = w.astype(float64)
コード例 #12
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    def __init__(self, d, noise=0, w=None):
        DataSet.__init__(self, d, noise=noise)
        self.dist = normal(loc=0.0, scale=1.0 / sqrt(d))

        if w is None:
            self.w = self.dist.rvs(size=self.d)

#print self.w
        else:
            self.w = w.astype(float64)
コード例 #13
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ファイル: gaussians.py プロジェクト: idelbrid/MachineLearning
    def pred(self, test_data):  # use learned gaussians to predict most likely distribution and total likelihood of the pt
        num_pts = len(test_data)
        p = np.zeros((num_pts, self.num_gaussians), dtype=np.float64)

        for k in range(self.num_gaussians):
            normal_var = normal(mean=self.mu[k], cov=self.sigma[k])
            p[:, k] = self.lmbda[k] * normal_var.pdf(test_data)
        pred_labels = p.argmax(axis=1)
        likelihood = p.sum(axis=1)
        return pred_labels, likelihood
コード例 #14
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ファイル: mc.py プロジェクト: lericson/pysquad
class Quad2D(Quad):
    from . import qf2d
    x_dot = staticmethod(qf2d.x_dot)
    step_eul = staticmethod(qf2d.step_eul)
    step_array = staticmethod(qf2d.step_array)

    #                     x  y  z qi qj qk qr vx vy vz wx wy wz w0 w1 w2 w3
    x_sample_mean = np.r_[0, 0, 0, 0,.2, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0]
    x_sample_std  = np.r_[1, 0, 1, 0,.1, 0,.1,.5, 0,.5, 0,.1, 0, 0, 0, 0, 0]
    state_dist = normal(x_sample_mean, x_sample_std)
コード例 #15
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ファイル: wordvector.py プロジェクト: julieweeds/BLESS
 def znorm_fixed(self,mean,sd):
     self.analyse()
     #print self.word,self.avgsim,self.sd
     for(sim,neigh) in self.tuplelist:
         p=normal(mean,sd).cdf(sim)
         self.allsims[neigh]=p
     self.analyse()
     #print self.word,self.avgsim,self.sd
     self.tuplelist=[]
     self.topk(self.getk())
コード例 #16
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def main():
	set_printoptions(precision=3)
	P = zeros(6)
	for i, deltaq in enumerate([30, 32, 34, 36, 38, 40]):
		tau2 = get_tau2_posterior_samples_MCMC(deltaq)
		rv = normal()
		numer = 65.2 - deltaq - deltaq * tau2 / (4 + tau2)
		denom = sqrt(8 + 8 * tau2 / (4 + tau2))
		Ps = 1 - rv.cdf(numer / denom)
		P[i] = mean(Ps)
	print P
コード例 #17
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    def pred(
        self, test_data
    ):  # use learned gaussians to predict most likely distribution and total likelihood of the pt
        num_pts = len(test_data)
        p = np.zeros((num_pts, self.num_gaussians), dtype=np.float64)

        for k in range(self.num_gaussians):
            normal_var = normal(mean=self.mu[k], cov=self.sigma[k])
            p[:, k] = self.lmbda[k] * normal_var.pdf(test_data)
        pred_labels = p.argmax(axis=1)
        likelihood = p.sum(axis=1)
        return pred_labels, likelihood
コード例 #18
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def neural_next_state(state, delta, J, T, N, g=tanh):
    """neural_next_state: given previous state, J, and timestep,
    return next state in neural model

    :param state: previous state
    :param J: interaction matrix
    :param T: temperature of the noise
    :param N: system size
    :param delta: timestep
    """
    return state + delta *  (-state + J @ g(state)) + \
                   normal(0, sqrt(2*T*delta)).rvs(N)
コード例 #19
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ファイル: model.py プロジェクト: jaym93/ant-foraging
 def _probKeep(self, pos):
     if len(self.locations) == 0:
         return 1.
     # compute Metropolis Hastings acceptance probability for mixture model
     norm = normal(pos, cov=0.4 * np.eye(2))
     currPdf = norm.pdf(pos)
     proposalPdf = 0.
     for loc, _ in self.locations:
         proposalPdf += norm.pdf(loc)
     proposalPdf /= len(self.locations)
     acceptProb = proposalPdf / currPdf
     return acceptProb
コード例 #20
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ファイル: blr_1breakv2.py プロジェクト: copr/diplomka
        def blr_1break(xs, ys):
            '''
            vraci funkci co spocita posterior hustotu pro bayes linear regresi
            s jednim zlomem
            ys, xs - ys pozorovane hodnoty, xs nezavisle hodnoty
            b00,b10 - koeficient u zavisle promenne pres respektive za zlomem
            b0 - y=b00*x+b0
            sigma - rozpytyl
            s - zlomn
            '''
            prior_b00 = lambda x: normal(0, 3).pdf(x)
            prior_b10 = lambda x: normal(1, 3).pdf(x)
            prior_b0 = lambda x: normal(0, 5).pdf(x)
            prior_sigma = lambda x: normal(4, 3).pdf(x)
            prior_switch = lambda x: normal(5, 2).pdf(x)

            def prob_density(x):
                b00, b10, b0, sigma, switch = x
                prob = 0
                n = len(xs)
                for i, xi in enumerate(xs):
                    if xi < switch:
                        prob += (ys[i] - (xi * b00 + b0))**2
                    else:
                        prob += (ys[i] - ((xi - switch) * b10 +
                                          (b00 * switch + b0)))**2
                sigma = abs(sigma)
                if sigma < 0:
                    raise Exception("sigma < 0")
                prob = (sigma)**(-n / 2) * np.exp(-prob / (2 * sigma))
                return np.product([
                    prob,
                    prior_b00(b00),
                    prior_b10(b10),
                    prior_b0(b0),
                    prior_sigma(sigma),
                    prior_switch(switch)
                ])

            return prob_density
 def __init__(self, d, p = 2.0, q = 2.0, margin = 0.5, noise = 0, w = None):
     DataSet.__init__(self, d, noise = noise)
     self.p = p
     self.q = q
     self.margin = margin
     self.dist = normal(loc = 0.0, scale = 1.0/sqrt(d))
     
     if w is None:
         self.w = self.dist.rvs(size = self.d)
     else:
         self.w = w.astype(float64)
     
     if self.q != None:
         self.w /= norm(self.w, self.q)
コード例 #22
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    def __init__(self, d, p=2.0, q=2.0, margin=0.5, noise=0, w=None):
        DataSet.__init__(self, d, noise=noise)
        self.p = p
        self.q = q
        self.margin = margin
        self.dist = normal(loc=0.0, scale=1.0 / sqrt(d))

        if w is None:
            self.w = self.dist.rvs(size=self.d)
        else:
            self.w = w.astype(float64)

        if self.q != None:
            self.w /= norm(self.w, self.q)
コード例 #23
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def spherical_next_state(state, delta, J, T, N):
    """spherical_next_state: given previous state, J, and timestep,
    return next state in spherical model

    :param state: previous state
    :param J: interaction matrix
    :param T: temperature of the noise
    :param N: system size
    :param delta: timestep
    """

    return state + delta * \
            (-state/N * (state.T @ J @ state) + J @ state) + \
            normal(0, sqrt(2*T*delta)).rvs(N) @ (identity(N) - 1/N*outer(state, state))
コード例 #24
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ファイル: wordvector.py プロジェクト: julieweeds/BLESS
    def adjustsims(self,myBless,meanpoly,sdpoly):

        (_,w1)=myBless.countdict.get(self.word,(0,0))
  #      print self.word,w1
        for(sim,neigh) in self.tuplelist:
            (_,w2)=myBless.countdict.get(untag(neigh,'/'),(0,0))
            #print self.word,w1,neigh,w2
            jointwidth=widthfunction(w1,w2)
            mean=meanpoly(jointwidth)
            sd=sdpoly(jointwidth)
            p=normal(mean,sd).cdf(sim)
            self.allsims[neigh]=p
        self.tuplelist=[]
        self.topk(self.getk())
コード例 #25
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ファイル: wordvector.py プロジェクト: julieweeds/BLESS
    def znorm(self):
        #estimate normal dist params and transform into normal probs
        self.analyse()
        #print self.word, self.avgsim,self.sd

        for (sim,neigh) in self.tuplelist:
            p = normal(self.avgsim,self.sd).cdf(sim)
            self.allsims[neigh]=p

        self.analyse()
        #print self.word,self.avgsim,self.sd

        self.tuplelist=[]
        self.topk(self.getk())
コード例 #26
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def stationary1(dataset1):
    ''' 
    returns a function that will compute the value for 
    a sample given the parameters
    '''
    prior_mu1 = partial(normal(0, 10).pdf)
    prior_sigma1 = lambda x: normal(0, 10).pdf(x)*uniform(0, 10).pdf(x)

    n = normal()


    def likelihood1(x, mu1, sigma1):
        if sigma1 < 0:
            raise Exception("Variance can't be negative")
        
        n.mean = mu1
        n.cov = sigma1
        return n.pdf(x)

    def prob_density(sample):
        if not len(sample) == 2:
            raise Exception("Wrong sample length, actual sample length: " + str(len(sample)))
        
        mu1 = sample[0]
        sigma1 = sample[1]

        probabilities = np.zeros(len(dataset1))

        for i, x in enumerate(dataset1):
            probabilities[i] = likelihood1(x, mu1, sigma1)

        probability = np.prod(probabilities)

        return probability*prior_mu1(mu1)*prior_sigma1(sigma1)

    return prob_density
コード例 #27
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ファイル: thesaurus.py プロジェクト: julieweeds/BLESS
    def znorm(self):
        #estimate normal dist params and transform into normal probs
        self.analyse()
        if ThesEntry.debug:
            print self.word, self.avgsim,self.sd

        for (sim,neigh) in self.tuplelist:
            p = normal(self.avgsim,self.sd).cdf(sim)
            self.allsims[neigh]=p

        self.analysed=False
        self.analyse()
        if ThesEntry.debug:
            print self.word,self.avgsim,self.sd

        self.tuplelist=[]
コード例 #28
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ファイル: blr_nbreaks.py プロジェクト: copr/diplomka
        def blr_nbreaks(xs, ys):
            '''
            vraci funkci co spocita posterior hustotu pro bayes linear regresi
            s n zlomy
            ys, xs - ys pozorovane hodnoty, xs nezavisle hodnoty
            b0 - y=b00*x+b0
            sigma - rozpytyl
            b1s - n+1 sklonu primky
            switches - n zlomu primky
            '''
            # prvni budde vzdycky b0 a sigma pak b1s a swithces
            # takze delka jednoho samplu by mela byt vzdycky
            # 1 + 1 + (n+1) + n = 3+2n
            prior = partial(normal(prior_mu, prior_cov).pdf)
            n_breaks = self.n_breaks

            def prob_density(x):
                assert len(x) == self.dimension
                
                b0 = x[0]
                sigma = x[1]
                b1s = x[2:3+n_breaks]
                switches = x[3+n_breaks:]
                # pridam si nekonecno do switchu at muzu tesstovat
                # jen z jedne strany
                switches = np.append(switches, np.inf)
                prob = 0
                n = len(xs)
                for i, xi in enumerate(xs):
                    # v jake hodnote zacinam
                    for j, switch in enumerate(switches):
                        if j == 0:
                            a = b0
                        else:
                            a = a + b1s[j-1]*switches[j-1] - b1s[j]*switches[j-1]
                        if xi < switch:
                            prob += (ys[i] - (xi*b1s[j]+a))**2
                            break

                sigma = abs(sigma)
                if sigma < 0:
                    raise Exception("sigma < 0")
                prob = (sigma)**(-n/2) * np.exp(-prob/(2*sigma))
                return prob*prior(x)
            return prob_density
コード例 #29
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ファイル: hmm.py プロジェクト: idelbrid/MachineLearning
    def pred(self, test_data):  # calculate best labels (settings for z) and the log likelihood P(X | A, mu, pi, sigma)
        if len(test_data) != self.T:
            raise ValueError("Testing data does not match the length of the training data.")
        alpha, beta, c = self.forward_backward(test_data)  # c is scaling constants

        gamma = alpha * beta  # gamma(n, i) = p(z_n=i | X, theta)
        pred_labels = gamma.argmax(axis=1)  # predicted labels, i.e. choices of latent variable z
        testB = np.zeros((self.T, self.num_gaussians))  # B[t, i] = p(x_t | z_t, theta) (emission probability)
        for k in range(self.num_gaussians):
            testB[:, k] = normal(self.mu[k], self.sigma[k]).pdf(test_data)

        ksi = np.zeros((self.num_gaussians, self.num_gaussians, self.T))  # ksi[i, j, t] = p(z_n = i, z_n-1 = j | X, theta)
        for t in range(1, self.T):  # skip 0 - covered by pi
            for i in range(self.num_gaussians):
                for j in range(self.num_gaussians):
                    ksi[j, i, t] = alpha[t-1, j] * beta[t, i] * self.A[j, i] * testB[t, i] / c[t]

        log_likelihood = np.log(c).sum()
        return pred_labels, log_likelihood
コード例 #30
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 def __init__(self, xs, ys, n_breaks):
     '''
     @param xs - xove souradnice dat
     @param ys - yove souradnice dat
     @param n_breaks - pocet zlomu
     '''
     if not (len(xs) == len(ys)):
         raise RuntimeError("Not matching dimension. Dimension xs=" + str(len(xs)) + " Dimension ys=" + str(len(ys)))
     self.xs = xs
     self.ys = ys
     self.max_y = max(ys)
     self.min_y = min(ys)
     self.max_x = max(xs)
     self.min_x = min(xs)
     self.n = 2*n_breaks + 5
     self.n_samples = len(xs)
     self.sigma_prior = normal(3, 0.2)
     self.n_breaks = n_breaks
     self.h_prior = uniform(min(ys) - 5, (max(ys) + 5) - (min(ys) - 5))
コード例 #31
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ファイル: blrMoveFactory.py プロジェクト: copr/diplomka
    def get_moves_from(self, k):
        if k in self.dimension_to_moves.keys():
            return self.dimension_to_moves[k]

        print("Creating moves from " + str(k))
        moves = []
        u = uniform(0, 1)
        n = normal(0, 1)

        step = 1
        if 5 < k <= 10:
            step = 2
        if 10 < k <= 15:
            step = 3
        if 15 < k <= 20:
            step = 5
        if 20 < k:
            7
        # moves up
        for i in range(0, k + 1, step):
            t_up, j_up = self._create_transformation_up(k, i)
            t_down, j_down = self._create_transformation_down(k + 1, i)
            u_gen_up = ProposalDistribution(
                lambda x: u.pdf(x[0]) * n.pdf(x[1]),
                lambda: [u.rvs(), n.rvs()])
            move = Move(k, k + 1, 0.05 / (k + 1), 0.05 / (k + 1), t_up, t_down,
                        j_up, j_down, u_gen_up, None, 2, 0)
            moves.append(move)
        # moves down
        for i in range(0, k, step):
            t_up, j_up = self._create_transformation_up(k - 1, i)
            t_down, j_down = self._create_transformation_down(k, i)
            u_gen_up = ProposalDistribution(
                lambda x: u.pdf(x[0]) * n.pdf(x[1]),
                lambda: [u.rvs(), n.rvs()])
            move = Move(k - 1, k, 0.05 / k, 0.05 / k, t_up, t_down, j_up,
                        j_down, u_gen_up, None, 2, 0)
            moves.append(move)

        self.dimension_to_moves[k] = moves
        return moves
コード例 #32
0
def getProposal2():
    # n1 = normal(0, 3)
    # n2 = normal(0, 3)
    # n3 = normal(0, 3)
    # n4 = normal(0, 3)

    cov = np.array([[3, 0, 0, 0],
                    [0, 3, 0, 0],
                    [0, 0, 3, 0],
                    [0, 0, 0, 3]])

    n = normal([0, 0, 0, 0], cov)

    def proposal(x, y):
        if not len(x) == 4:
            raise Exception("Wrong sample length")

        if not len(y) == 4:
            raise Exception("Wrong sample length")
        
        # n1.mean = x[0]
        # n2.mean = x[1]
        # n3.mean = x[2]
        # n4.mean = x[3]

        n.mean = x

        return n.pdf(y)

        # return np.prod([
        #     n1.pdf(y[0]),
        #     n2.pdf(y[1]),
        #     n3.pdf(y[2]),
        #     n4.pdf(y[3])
        # ])

    return proposal
コード例 #33
0
ファイル: iono.py プロジェクト: weiniuzhu/VIPS
from scipy.stats import multivariate_normal as normal
import numpy as np
from time import time
from experiments.lnpdfs.create_target_lnpfs import build_GPR_iono_lnpdf
from sampler.SliceSampling.slice_sampler import slice_sample

num_dimensions = 35

lnpdf = build_GPR_iono_lnpdf()[0]

prior = normal(np.zeros((num_dimensions)), np.eye((num_dimensions)))
initial = prior.rvs(1)


def sample(n_samps, sigma, path):
    start = time()
    samples = slice_sample(lnpdf, initial, n_samps,
                           sigma * np.ones(num_dimensions), path)
    end = time()
    np.savez(path,
             samples=samples,
             wallclocktime=end - start,
             n_fevals=lnpdf.counter)


print("done")
コード例 #34
0
ファイル: gaussians.py プロジェクト: idelbrid/MachineLearning
    def fit(self, X):
        self.X = X
        self.N = X.shape[0]
        self.ndim = X.shape[1]
        np.random.seed(self.random_seed)
        matX = np.asmatrix(X)

        # initialization schemes
        if self.init_method == 'random':
            if self.init_means is not None:
                mu = self.init_means
            else:
                mu = X[np.random.choice(range(0, len(X)), self.num_gaussians), :]  # sample from the data
            if self.init_cov is not None:
                sigma = self.init_cov
            else:
                sigma = list()
                for k in range(self.num_gaussians):
                    sigma.append(np.identity(self.ndim, dtype=np.float64))
                    sigma[k] += np.random.rand(self.ndim, self.ndim)  # purely synthetic
                    sigma[k] = np.dot(sigma[k], sigma[k].T)  # making it positive semi-definite and symmetric
                    sigma[k] /= sigma[k].sum()

                    # lowerbound = k * self.N / self.num_gaussians  # sample from data
                    # upperbound = lowerbound + 20
                    # sigma[k] = np.cov(X[lowerbound:upperbound, :].T)

            if self.init_weights is not None:
                lmbda = self.init_weights
            else:
                lmbda = np.random.rand(self.num_gaussians)
                lmbda /= lmbda.sum()

        elif self.init_method == 'kmeans':  # use means of kmeans as initial means, and calculate cov from the clusters
            model = KMeans(K=self.num_gaussians, max_iter=5)
            model.fit(X)
            labels = model.pred(X)
            mu = np.zeros((self.num_gaussians, self.ndim))
            sigma = [np.zeros((self.ndim, self.ndim))] * self.num_gaussians
            for k in range(self.num_gaussians):
                cluster = X[labels == k]
                mu[k] = cluster.mean(axis=0)
                sigma[k] = np.cov(cluster.T)
            if self.init_weights is not None:
                lmbda = self.init_weights
            else:
                lmbda = np.random.rand(self.num_gaussians)
                lmbda /= lmbda.sum()


        ######## BEGIN ACTUAL ALGORITHM ###################
        for iter in range(self.max_iter):
            phat = np.zeros((self.N, self.num_gaussians))
            N = np.zeros(self.num_gaussians)

            # E step
            for k in range(0, self.num_gaussians):
                normal_var = normal(mean=mu[k], cov=sigma[k])
                phat[:, k] = lmbda[k] * normal_var.pdf(X)
            phat /= phat.sum(axis=1)[:, None]
            # faster to do it all with numpy than use loops

            # for n in range(0, self.N):  # loop over each data point
            #     for k in range(0, self.num_gaussians):
            #         normalx = normal(mean=mu[k], cov=sigma[k]).pdf(X[n, :])
            #         phat[n, k] = lmbda[k] * normalx
            #     phat[n, :] /= phat[n, :].sum()

            # M step
            for k in range(self.num_gaussians):
                N[k] = phat[:, k].sum()
                mu[k] = np.dot(phat[:, k], X) / N[k]
                intermed = np.multiply(phat[:, k], (matX - mu[k]).T).T
                sigma[k] = np.dot(intermed.T, (matX - mu[k])) / N[k]
                lmbda[k] = N[k] / self.N

            pass  # end of this iteration
        self.mu = mu
        self.sigma = sigma
        self.lmbda = lmbda
コード例 #35
0
ファイル: hmm.py プロジェクト: idelbrid/MachineLearning
    def forward_backward(self, X=None):

        T = self.T
        A = self.A
        if X is None:
            B = self.B  # training
        else:
            B = np.zeros((T, self.num_gaussians))  # testing
            for k in range(self.num_gaussians):
                B[:, k] = normal(self.mu[k], self.sigma[k]).pdf(X)
        # alpha[-1, self.num_gaussians] = 1
        # alpha[-1, :self.num_gaussians] = 0

        c = np.zeros(T)
        # alpha = np.zeros((T, self.num_gaussians))
        # beta = np.zeros((T, self.num_gaussians))
        # for t in range(0, T):  # Standard calculation
        #     if t == 0:
        #         for j in range(self.num_gaussians):
        #             alpha[0, j] = self.pi[j] * self.B[0, j]
        #
        #     else:
        #         for j in range(self.num_gaussians):
        #             for i in range(self.num_gaussians):
        #                 alpha[t, j] += alpha[t-1, i] * A[i, j] * B[t, j]
        #     c[t] = alpha[t, :].sum()
        #     alpha[t, :] /= c[t]  # Normalize to alpha hat as in Bishop
        #
        # for t in range(T-1, -1, -1):
        #     if t == T-1:
        #         for i in range(self.num_gaussians):
        #             beta[T-1, i] = 1
        #     else:
        #         for i in range(self.num_gaussians):
        #             for j in range(self.num_gaussians):
        #                 beta[t, i] += beta[t+1, j] * A[i, j] * B[t+1, j]
        #         beta[t, :] /= c[t+1]

        # return alpha, beta
        # a == alpha
        # b == beta

        a = np.zeros((T, self.num_gaussians))
        b = np.zeros((T, self.num_gaussians))
        for j in range(self.num_gaussians):
            a[0, j] = self.pi[j] * self.B[0, j]
        c[0] = a[0, :].sum()
        a[0, :] /= c[0]

        for t in range(1, T):  # The same as above, but vectorized
            a[t, :] = np.dot(A.T, a[t-1, :]) * B[t, :]
            c[t] = a[t, :].sum()
            a[t, :] /= c[t]

        for j in range(self.num_gaussians):
            b[T-1, j] = 1
        for t in range(T-2, -1, -1):
            b[t, :] = np.dot(A, (b[t+1, :]) * B[t+1, :] )
            b[t, :] /= c[t+1]

        return a, b, c
コード例 #36
0
    def fit(self, X):
        self.X = X
        self.N = X.shape[0]
        self.ndim = X.shape[1]
        np.random.seed(self.random_seed)
        matX = np.asmatrix(X)

        # initialization schemes
        if self.init_method == 'random':
            if self.init_means is not None:
                mu = self.init_means
            else:
                mu = X[np.random.choice(range(
                    0, len(X)), self.num_gaussians), :]  # sample from the data
            if self.init_cov is not None:
                sigma = self.init_cov
            else:
                sigma = list()
                for k in range(self.num_gaussians):
                    sigma.append(np.identity(self.ndim, dtype=np.float64))
                    sigma[k] += np.random.rand(self.ndim,
                                               self.ndim)  # purely synthetic
                    sigma[k] = np.dot(
                        sigma[k], sigma[k].T
                    )  # making it positive semi-definite and symmetric
                    sigma[k] /= sigma[k].sum()

                    # lowerbound = k * self.N / self.num_gaussians  # sample from data
                    # upperbound = lowerbound + 20
                    # sigma[k] = np.cov(X[lowerbound:upperbound, :].T)

            if self.init_weights is not None:
                lmbda = self.init_weights
            else:
                lmbda = np.random.rand(self.num_gaussians)
                lmbda /= lmbda.sum()

        elif self.init_method == 'kmeans':  # use means of kmeans as initial means, and calculate cov from the clusters
            model = KMeans(K=self.num_gaussians, max_iter=5)
            model.fit(X)
            labels = model.pred(X)
            mu = np.zeros((self.num_gaussians, self.ndim))
            sigma = [np.zeros((self.ndim, self.ndim))] * self.num_gaussians
            for k in range(self.num_gaussians):
                cluster = X[labels == k]
                mu[k] = cluster.mean(axis=0)
                sigma[k] = np.cov(cluster.T)
            if self.init_weights is not None:
                lmbda = self.init_weights
            else:
                lmbda = np.random.rand(self.num_gaussians)
                lmbda /= lmbda.sum()

        ######## BEGIN ACTUAL ALGORITHM ###################
        for iter in range(self.max_iter):
            phat = np.zeros((self.N, self.num_gaussians))
            N = np.zeros(self.num_gaussians)

            # E step
            for k in range(0, self.num_gaussians):
                normal_var = normal(mean=mu[k], cov=sigma[k])
                phat[:, k] = lmbda[k] * normal_var.pdf(X)
            phat /= phat.sum(axis=1)[:, None]
            # faster to do it all with numpy than use loops

            # for n in range(0, self.N):  # loop over each data point
            #     for k in range(0, self.num_gaussians):
            #         normalx = normal(mean=mu[k], cov=sigma[k]).pdf(X[n, :])
            #         phat[n, k] = lmbda[k] * normalx
            #     phat[n, :] /= phat[n, :].sum()

            # M step
            for k in range(self.num_gaussians):
                N[k] = phat[:, k].sum()
                mu[k] = np.dot(phat[:, k], X) / N[k]
                intermed = np.multiply(phat[:, k], (matX - mu[k]).T).T
                sigma[k] = np.dot(intermed.T, (matX - mu[k])) / N[k]
                lmbda[k] = N[k] / self.N

            pass  # end of this iteration
        self.mu = mu
        self.sigma = sigma
        self.lmbda = lmbda
コード例 #37
0
from time import time

import numpy as np
import os
from scipy.stats import multivariate_normal as normal
from experiments.lnpdfs.create_target_lnpfs import build_GPR2_iono_lnpdf
from sampler.elliptical_slice.bovy_mcmc.elliptical_slice import elliptical_slice as ess_update

num_dimensions = 34
prior_cov = 10 * np.eye(num_dimensions)
#prior_cov[0,0] = 1.

prior_chol = np.sqrt(prior_cov)
prior = normal(np.zeros(num_dimensions), prior_cov)

target_lnpdf = build_GPR2_iono_lnpdf(prior_on_variance=False)[0]


def sample(n_samps, path=None):
    if path is not None:
        dirname = os.path.dirname(path)
        if not os.path.exists(dirname):
            os.makedirs(dirname)
    iters = []
    nfevals = []
    target_lnpdf.counter = 0
    start = time()
    timestamps = []
    cur_theta = prior.rvs(1)
    cur_lnpdf = target_lnpdf(cur_theta, without_prior=True)
    all_samples = []
    def __init__(self, d, dist1mean, dist2mean, cov, size, noise = 0, w = None):
        
        x = rnd.multivariate_normal(dist1mean, cov, size)
        #z = rnd.multivariate_normal(dist2mean, cov, size)
        
        #z = zeros((size,2))
        #x = zeros((size,2))
        
        '''
        i=0
        while i < size:
            temp = rnd.multivariate_normal(dist1mean,cov)
            if norm(temp,2) <= 1:
				z[i] = temp
				i += 1

        i=0
        while i < size:	
            temp = rnd.multivariate_normal(dist1mean,cov)
            if norm(temp,2) > 1.2:
				x[i] = temp
				i += 1
        
        P = []
        Q = []
        R = []
        S = []
        
        for i in range(size):
            p,q = x[i]
            P.append(p)
            Q.append(q)
            r,s = z[i]
            R.append(r)
            S.append(s)

        #plt.clf()

        #plt.plot(P,Q,'bo')
        #plt.plot(R,S,'g+')
        #plt.show()
        '''
        temp = []

        for i in range(size):
			# change here for separable and non separable dataset
            #temp.append([z[i],1])
            #temp.append([x[i],-1])
            temp.append(z[i])
            #temp.append(x[i])

        self.data = temp
        self.n = size
        self.shuffle = True
        self.repeat = True
        self.maxnorm = self.calculatemaxnorm()
        DataSet.__init__(self, d, extend = False, norm_p = True, noise = noise)

        if w is None:
            self.w = normal(loc = 0.0, scale = 1.0/sqrt(d))
        else:
            self.w = w.astype(float64)
コード例 #39
0
    def __init__(self, d, dist1mean, dist2mean, cov, size, noise=0, w=None):

        x = rnd.multivariate_normal(dist1mean, cov, size)
        #z = rnd.multivariate_normal(dist2mean, cov, size)

        #z = zeros((size,2))
        #x = zeros((size,2))
        '''
        i=0
        while i < size:
            temp = rnd.multivariate_normal(dist1mean,cov)
            if norm(temp,2) <= 1:
				z[i] = temp
				i += 1

        i=0
        while i < size:	
            temp = rnd.multivariate_normal(dist1mean,cov)
            if norm(temp,2) > 1.2:
				x[i] = temp
				i += 1
        
        P = []
        Q = []
        R = []
        S = []
        
        for i in range(size):
            p,q = x[i]
            P.append(p)
            Q.append(q)
            r,s = z[i]
            R.append(r)
            S.append(s)

        #plt.clf()

        #plt.plot(P,Q,'bo')
        #plt.plot(R,S,'g+')
        #plt.show()
        '''
        temp = []

        for i in range(size):
            # change here for separable and non separable dataset
            #temp.append([z[i],1])
            #temp.append([x[i],-1])
            temp.append(z[i])
            #temp.append(x[i])

        self.data = temp
        self.n = size
        self.shuffle = True
        self.repeat = True
        self.maxnorm = self.calculatemaxnorm()
        DataSet.__init__(self, d, extend=False, norm_p=True, noise=noise)

        if w is None:
            self.w = normal(loc=0.0, scale=1.0 / sqrt(d))
        else:
            self.w = w.astype(float64)
コード例 #40
0
ファイル: test_blr.py プロジェクト: copr/diplomka
Bhat = np.dot(BhatI, BhatR)

An = np.dot(T(X), X) + A0
Ainv = npla.inv(An)
munleft = npla.inv(An)
munright = np.dot(A0, mu0) + np.dot(T(X), np.dot(X, Bhat))
mun = np.dot(munleft, munright)
bn = b0 + 0.5 * (np.dot(T(Y), Y) + np.dot(T(mu0), np.dot(A0, mu0)) -
                 np.dot(T(mun), np.dot(An, mun)))
an = a0 + n / 2

mean = mun[:, 0]

q = bn[0][0]

stat = lambda B: normal(mean,
                        abs(B[2]) * Ainv).pdf(B[0:2]) * invgamma(
                            a=an, loc=0, scale=q).pdf(B[2])

k1 = 0.05
k2 = 0.05
k3 = 5
cov_sampler = np.array([[k1, 0, 0], [0, k2, 0], [0, 0, k3]])

prop = lambda x, xi: normal(xi, cov_sampler).pdf(x)
prop_sampler = lambda x: normal(x, cov_sampler).rvs()

cov_sampler2 = np.array([[20, 0.5, 0], [0.5, 20, 0.5], [0, 0.5, 20]])

prop2 = lambda x, xi: normal(xi, cov_sampler2).pdf(x)
prop_sampler2 = lambda x: normal(x, cov_sampler2).rvs()